QD优化代码的使用例子

最近在qd上实现kelly money management，进行优化时可以参考以下代码。

using System;
using RQuant.ParamSet;
using RQuant.Optimization;

namespace OptimizationTest
{

class Function : IOptimizable
{
double x;
double y;

public Function()
{
x = 100;
y = 100;
}

public void Init(TParamSet ParamSet)
{
ParamSet.SetNParam(2);

ParamSet.SetParam(0, x);
ParamSet.SetParam(1, y);

ParamSet.SetLowerBound(0, -100);
ParamSet.SetLowerBound(1, -100);

ParamSet.SetUpperBound(0, 100);
ParamSet.SetUpperBound(1, 100);
}

public void Update(TParamSet ParamSet)
{
x = ParamSet.GetParam(0);
y = ParamSet.GetParam(1);
}

public double Objective()
{
return (x - 10)*(x - 10) + (y + 5) * (y + 5);
}

public void OnStep () { ; }
public void OnCircle() { ; }

public void Print()
{
Console.WriteLine("x = {0}, y = {1}", x, y);
}
}

class MainClass
{

static void Main(string[] args)
{
Function F = new Function();

TOptimizer Optimizer = new TCoordinateDescent(F);

F.Print();

Optimizer.Optimize();

F.Print();

F = new Function();

Optimizer = new TSimulatedAnnealing(F);

F.Print();

Optimizer.Optimize();

F.Print();
}
}

}

 

Code:

using RQuant.ParamSet;
using RQuant.Optimization;

这是 RQant ?